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Erschienen in:
The Evolving Financial Landscape in Emerging Markets and Developing Economies Kapitel lesen Erstes Kapitel lesen

2020 | OriginalPaper | Buchkapitel

4. Does Economic Policy Uncertainty Matter for Stock Market Volatility?

verfasst von : Abhisek Mishra, Byomakesh Debata

Erschienen in: The Financial Landscape of Emerging Economies

Verlag: Springer International Publishing

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Abstract

This study examines the dynamic relationship between economic policy uncertainty (EPU) and stock market volatility in a pure order-driven emerging stock market. Considering the non-linear EPU-volatility relationship, this study uses GARCH family of models to capture the impact of policy uncertainty on stock market volatility. Empirical estimates reveal that economic policy uncertainty is an essential determinant of stock market volatility, and higher EPU leads to significant increase in volatility. We believe, a thorough understanding the EPU-Volatility relationship can be beneficial for investors to better predict the behaviour of stock market volatility.

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Metadaten
Titel
Does Economic Policy Uncertainty Matter for Stock Market Volatility?
verfasst von
Abhisek Mishra
Byomakesh Debata
Copyright-Jahr
2020
Buch
The Financial Landscape of Emerging Economies

Print ISBN: 978-3-030-60007-5

Electronic ISBN: 978-3-030-60008-2

Copyright-Jahr: 2020

DOI
https://doi.org/10.1007/978-3-030-60008-2_4